Local linear quantile estimation for nonstationary time series

Details Local linear quantile estimation for nonstationary time series Local linear quantile estimation for nonstationary time series

2009-08-25

arxiv.org/abs/0908.3576v1

Annals of Statistics 2009, Vol. 37, No. 5B, 2696-2729

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/08-AOS636 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/08-AOS636

We consider estimation of quantile curves for a general class of nonstationary processes. Consistency and central limit results are obtained for local linear quantile estimates under a mild short-range dependence condition. Our results are applied to environmental data sets. In particular, our results can be used to address the problem of whether climate variability has changed, an important problem raised by IPCC (Intergovernmental Panel on Climate Change) in 2001.

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